coint_ghansen

Purpose

Tests for the null of no cointegration against the alternative of cointegration with a structural break in the mean.

Format

{ ADF_min, TBadf, Zt_min, TBzt, Za_min, TBza, cvADFZt, cvZa } = coint_ghansen(y, x, model[, bwl, ic, pmax, varm, trimm])
Parameters
  • y (Nx1 matrix) – Dependent variable.

  • x (NxK matrix) – Independent variable.

  • model (Scalar) –

    Model to be implemented.

    1

    C (level shift)

    2

    C/T (level shift with trend)

    3

    C/S (regime shift)

    4

    Regime and trend shift

  • bwl (Scalar) – Optional, bandwidth length for long-run variance computation. Default = round(4 * (T/100)^(2/9)).

  • ic (Scalar) –

    Optional, the information criterion used for choosing lags. Default = 3.

    1

    Akaike.

    2

    Schwarz.

    3

    t-stat significance

  • pmax (Scalar) – Optional, maximum number of lags for \(\Delta y\) in ADF test. Default = 8.

  • varm (Scalar) –

    Optional, long-run consistent variance estimation method. Default = 1.

    1

    iid.

    2

    Bartlett.

    3

    Quadratic Spectral (QS).

    4

    SPC with Bartlett (Sul, Phillips & Choi, 2005)

    5

    SPC with QS

    6

    Kurozumi with Bartlett

    7

    Kurozumi with QS

  • trimm (Scalar) – Optional, trimming rate. Default = 0.10.

Returns
  • ADFmin (Scalar) – ADF test statistic

  • TBadf (Scalar) – Break point using OLS.

  • Zamin (Scalar) – Za test statistic

  • TBza (Scalar) – Break point for using Za statistic.

  • Ztmin (Scalar) – Zt test statistic

  • TB_zt (Scalar) – Break point using Zt statistic.

  • cvADFZt (Scalar) – 1%, 5%, 10% critical values for ADF and Zt test statistics.

  • cvZa (Scalar) – 1%, 5%, 10% critical values for Za test statistics.

Examples

new;
cls;
library tspdlib;

// Load dataset
data = loadd(getGAUSSHome() $+ "pkgs/tspdlib/examples/ts_coint.csv",
                          "Y1 + Y2 + Y3 + Y4 + date($Date, '%b-%y')");


// Define y and x matrix
y = data[., 1];
x = data[., 2:cols(data)];

// Level shift
model = 1;

// Call test
{ ADF_min, TBadf, Zt_min, TBzt, Za_min, TBza, cvADFZt, cvZa } = coint_ghansen(y, x, model);

Source

coint_ghansen.src